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| Macroeconomic Variables, Firm-Specific
Variables and Returns to REITs Author: Su-Jane Chen, Chengho Hsieh, Timothy W. Vines, and Shur-Nuaan Chiou Start Page: 269 Abstract: This study
investigates the cross-sectional variation in equity real estate investment trusts
(EREITs) returns. A pooled cross-sectional, time-series approach is used as an alternative
to the two-step Fama-MacBeth regression. With pooling, more powerful tests can be obtained
from the limited sample of EREITs available. Beta does not explain return variation. Size
is the sole consistent factor explaining prices. None of the variables of Chen, Roll and
Ross (1986) is significant when size and book-to-market variables are included in the
model. Only the unanticipated change in term structure is significant in versions of the
model that exclude firm-specific variables. |
